EWI Options History — September 2013

In September 2013, EWI traded between $26.38 and $29.02. ATM implied volatility averaged 22.9%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.4% (HV 20d: 23.3%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 5.17.

Notable Days

  • 2013-09-17: Highest Volume — 1,628 contracts
  • 2013-09-10: Largest IV drop — 46.0% change
  • 2013-09-06: Highest IV Rank — 48.2%
  • 2013-09-06: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.92$26.38$29.02$26.60$28.24
Max Pain$27.50$26.00$28.00$28.00$28.00
ATM IV22.9%12.8%29.7%26.2%23.2%
Expected Move6.7%5.8%8.0%7.5%6.6%
HV 20d23.3%18.5%25.5%24.9%18.9%
HV 60d22.3%20.7%24.0%24.0%21.0%
IV Rank29.6%0.0%48.2%37.0%31.2%
IV Percentile26.8%0.0%65.5%44.8%27.8%
Term Structure0.0%-2.9%3.1%1.7%1.0%
VWIV24.7%17.6%33.8%25.7%23.2%
Skew 25d4.9%-2.6%11.5%-1.0%10.6%
Skew 10d4.3%-5.2%17.3%-1.6%17.3%
Call IV 25d20.1%12.2%27.9%26.1%17.8%
Put IV 25d25.0%20.9%30.0%25.1%28.4%
Bid-Ask Spread %94.0585.5398.7188.6295.44
Gamma HHI0.390.290.530.290.45
Net GEX416.7K-229.1K1.1M-86.8K317.7K
Net DEX-6.2M-21.8M4.7M3.6M-6.4M
Net VEX-70.8K-73.7K-66.5K-73.7K-69.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.170.0059.711.240.03
Total Volume424.771,628471,049
Total OI23,403.915,36329,02925,72315,899

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$26.60$28.0026.2%7.5%24.9%37.0%25.7%-1.0%1.7%-86.8K3.6M-73.7K1.2488.62N/AN/A212611,42314,300
2013-09-04$26.38$28.0023.6%6.8%25.0%28.8%23.6%6.2%3.1%-229.1K4.7M-70.6K5.4585.53N/AN/A157911,41914,319
2013-09-05$26.52$28.0025.9%7.4%24.8%36.2%26.8%-2.6%1.6%-164.2K4.0M-72.9K1.2586.75N/AN/A4511,41814,339
2013-09-06$26.76$28.0029.7%8.0%23.8%48.2%33.0%7.1%0.3%-7.7K2.1M-72.4K7.6194.13N/AN/A4131211,41814,339
2013-09-09$27.26$26.0023.7%7.0%24.7%29.1%33.8%7.0%-2.4%242.8K-2.0M-72.2K1.7894.47N/AN/A30153611,45914,558
2013-09-10$27.24$26.0012.8%6.2%24.6%0.0%0.0%3.2%0.8%157.4K-1.2M-72.4K0.0095.43N/AN/A014711,38414,994
2013-09-11$27.82$26.0018.4%6.4%25.3%16.8%0.0%7.3%0.7%691.5K-5.7M-70.0K3.9892.26N/AN/A4216711,35815,123
2013-09-12$27.56$26.0023.6%6.8%25.5%32.5%22.3%8.3%-0.7%578.4K-3.5M-68.8K0.2792.17N/AN/A2627211,31015,047
2013-09-13$27.64$26.0023.9%6.9%25.5%33.4%24.0%5.7%-1.0%802.3K-4.4M-67.8K9.5795.03N/AN/A43411,55915,104
2013-09-16$27.86$28.0022.2%6.4%25.2%28.3%28.8%9.6%-0.1%953.3K-7.5M-66.5K0.0492.80N/AN/A9304011,55815,137
2013-09-17$28.04$28.0023.3%6.7%22.6%31.7%23.1%7.9%-0.9%1.1M-9.9M-69.0K0.0193.47N/AN/A1,6141412,39815,126
2013-09-18$28.98$28.0024.3%7.0%25.1%34.7%23.5%1.7%-0.9%645.3K-21.8M-73.4K0.0094.45N/AN/A817313,89615,133
2013-09-19$28.80$28.0023.2%6.6%24.9%31.2%0.0%0.9%-2.9%876.1K-18.1M-73.5K0.8694.48N/AN/A1079213,65314,902
2013-09-20$28.70$28.0022.7%6.5%23.9%29.7%23.0%0.0%0.8%411.9K-14.6M-71.1K0.0797.41N/AN/A95711,67814,920
2013-09-23$28.78$28.0023.4%6.7%23.8%32.0%23.4%0.6%0.7%443.6K-9.4M-67.2K59.7197.96N/AN/A95088,3357,028
2013-09-24$28.86$28.0023.1%6.6%21.3%30.9%17.6%2.6%-0.6%425.9K-9.5M-70.6K1.3398.04N/AN/A348,3387,535
2013-09-25$29.02$28.0020.3%5.8%18.5%22.6%22.5%2.6%-0.5%427.6K-9.6M-70.3K0.4797.38N/AN/A1898,3367,538
2013-09-26$28.82$28.0022.9%6.6%18.7%30.5%0.0%11.5%-0.3%364.0K-7.8M-72.9K3.4798.71N/AN/A9308,3517,547
2013-09-27$28.42$28.0021.6%6.2%19.5%26.4%21.6%9.5%0.2%342.6K-7.0M-70.4K1.0196.54N/AN/A5315378,3467,553
2013-09-30$28.24$28.0023.2%6.6%18.9%31.2%23.2%10.6%1.0%317.7K-6.4M-69.8K0.0395.44N/AN/A1,020298,3467,553